Press Release

Morningstar DBRS Takes Credit Rating Actions on 13 U.S. RMBS Transactions

RMBS
June 21, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 103 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 13 transactions reviewed, 12 are classified as legacy RMBS backed by Alt-A or subprime mortgages and one as a RMBS backed by reperforming mortgages. Of the 103 classes reviewed, Morningstar DBRS upgraded its credit ratings on three classes and confirmed its credit ratings on the remaining 100 classes.

The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings.

The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update" published on March 27, 2024 (https://dbrs.morningstar.com/research/430189). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on March 3, 2023.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings assigned to the classes below materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations below varies among tranches having (1) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress or (2) a small loan count.

The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-3
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-2
-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1, Class M-1
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-5

The below tranches materially deviate because of a small loan count.

-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2
-- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates, Series 2004-13ALT, Class 2-PA-1
-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-3
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-1
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-2

The credit ratings were initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

C-BASS 2004-CB7 Trust
C-BASS 2007-CB6 Trust
C-BASS 2007-SP1 Trust
First Franklin Mortgage Loan Trust, Series 2005-FFH2
MASTR Asset Backed Securities Trust 2005-WMC1
PRPM 2021-RPL1, LLC
ResMAE Mortgage Loan Trust 2006-1
Securitized Asset-Backed Receivables LLC Trust 2005-EC1
Terwin Mortgage Trust 2004-13ALT
Terwin Mortgage Trust 2004-15ALT
Terwin Mortgage Trust 2004-19HE
Terwin Mortgage Trust 2004-7HE
Terwin Mortgage Trust 2004-9HE
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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